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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
framework is a bivariate volatility model, where volatility spillovers of either positive or negative sign are allowed for. Our … countries. Regarding the volatility spillovers, such spillovers from bond returns to those of stocks are stronger than the other … results show that by considering time-varying return and volatility spillovers when calculating the risk-minimising portfolio …
Persistent link: https://www.econbiz.de/10011663407
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Oil price shocks and stock return volatility : new evidence based on volatility impulse response analysis
Eraslan, Sercan; Ali, Faek Menla - 2018
We use volatility impulse response analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the … persistence of different types of oil price shocks on stock return volatility and the covariance between oil price changes and …
Persistent link: https://www.econbiz.de/10011903691
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What triggers stock market jumps?
Baker, Scott; Bloom, Nicholas; Davis, Steven J.; … - 2021
Persistent link: https://www.econbiz.de/10012614411
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Asymmetric volatility clustering, risk-return relationship and day of the week effects : evidence from nineteen stock markets
Balaban, Ercan; Bayar, Aslı; Kan, Özgür Berk - 1999
Persistent link: https://www.econbiz.de/10001399859
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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A data-driven selection of an appropriate seasonal adjustment approach
Webel, Karsten - 2016
Recent releases of X-13ARIMA-SEATS and JDemetra+ enable their users to choose between the non-parametric X-11 and the parametric ARIMA model-based approach to seasonal adjustment for any given time series without the necessity of switching between different software packages. To ease the...
Persistent link: https://www.econbiz.de/10011452778
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Mixed frequency models with MA components
Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018
Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature emerges when not all but only a few variables are aggregated, which generates a mixed frequency model. The MA component is generally neglected, likely to preserve the possibility...
Persistent link: https://www.econbiz.de/10011792277
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Forecasting banknote circulation during the COVID-19 pandemic using structural time series models
Bartzsch, Nikolaus; Brandi, Marco; Pastor, Raymond de; … - 2023
As part of the Eurosystem’s annual banknote production planning, the national central banks draw up forecasts estimating the volumes of national-issued banknotes in circulation for the three years ahead. As at the end of 2021, more than 80 per cent of euro banknotes in circulation (cumulated...
Persistent link: https://www.econbiz.de/10014320825
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Analysis of nonlinear comovement of benchmark Thai government bond yields
Rewat Khanthaporn - 2022
Persistent link: https://www.econbiz.de/10013429426
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On the volatility of cryptocurrencies
Stengos, Thanasēs; Panagiōtidēs, Theodōros; … - 2022
Persistent link: https://www.econbiz.de/10012938838